Asymmetric least squares regression estimation: A nonparametric approach∗
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Cited in
(62)- Local polynomial expectile regression
- Cross-validatory bandwidth selections for regression estimation based on dependent data
- Nonparametric estimation equations for time series data.
- Asymmetric Least Squares Estimation and Testing
- Simultaneous confidence bands for expectile functions
- A continuous threshold expectile model
- An SVM-like approach for expectile regression
- Bayesian regularisation in geoadditive expectile regression
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Nonparametric regression under dependent errors with infinite variance
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Properties of fuzzy transform obtained from \(L_p\) minimization and a connection with Zadeh's extension principle
- The \(k\)th power expectile regression
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity
- A discrete density approach to Bayesian quantile and expectile regression with discrete responses
- Efficient estimation in expectile regression using envelope models
- The second-order asymptotic properties of asymmetric least squares estimation
- Econometric modeling of risk measures: a selective review of the recent literature
- Quantile and expectile smoothing based on L₁-norm and L₂-norm fuzzy transforms
- Generalizing Koenker's distribution
- The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
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- Scenario aggregation method for portfolio expectile optimization
- Nonparametric regression expectiles∗
- A Local Linear Least-Absolute-Deviations Estimator of Volatility
- NONNORMAL REGRESSION. II. SYMMETRIC DISTRIBUTIONS
- Variable selection in expectile regression
- scientific article; zbMATH DE number 775727 (Why is no real title available?)
- Expectile and quantile regression—David and Goliath?
- Spatio-temporal expectile regression models
- A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
- Smooth expectiles for panel data using penalized splines
- Nonparametric multiple expectile regression via ER-Boost
- Extremiles: A New Perspective on Asymmetric Least Squares
- Binary quantile regression and variable selection: a new approach
- An elastic-net penalized expectile regression with applications
- The MLE of Aigner, Amemiya, and Poirier is \textit{not} the expectile MLE
- Partially Linear Expectile Regression Using Local Polynomial Fitting
- Extremile Regression
- Functional data analysis of generalized regression quantiles
- Dimension reduction techniques for conditional expectiles
- Parametric expectile regression and its application for premium calculation
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- Variable selection for nonparametric spatial expectile regression using deep neural networks
- Estimating expectile-optimal treatment regimes
- Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency
- Expectile regression averaging method for probabilistic forecasting of electricity prices
- Minimax rates of convergence for nonparametric location-scale models
- How sensitive are tail-related risk measures in a contamination neighbourhood?
- Expectile periodogram
- Testing for Granger-causality in expectiles with an application to financial contagion
- On expectile-assisted inverse regression estimation for sufficient dimension reduction
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